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Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters

Dinghai Xu and John Knight

Econometric Reviews, 2011, vol. 30, issue 1, 25-50

Abstract: This article develops an efficient method for estimating the discrete mixtures of normal family based on the continuous empirical characteristic function (CECF). An iterated estimation procedure based on the closed form objective distance function is proposed to improve the estimation efficiency. The results from the Monte Carlo simulation reveal that the CECF estimator produces good finite sample properties. In particular, it outperforms the discrete type of methods when the maximum likelihood estimation fails to converge. An empirical example is provided for illustrative purposes.

Keywords: Empirical characteristic function; Mixtures of normal (search for similar items in EconPapers)
Date: 2011
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Working Paper: Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters (2008) Downloads
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DOI: 10.1080/07474938.2011.520565

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